Matches in SemOpenAlex for { <https://semopenalex.org/work/W2729437950> ?p ?o ?g. }
Showing items 1 to 90 of
90
with 100 items per page.
- W2729437950 endingPage "125" @default.
- W2729437950 startingPage "104" @default.
- W2729437950 abstract "Abstract Selection of promising assets and allocating capital among them is a crucial part of the financial decision-making process. Modern portfolio theory formulated it as a quadratic optimization problem of maximizing expected returns and minimizing the risk of the portfolio. This problem was modified to incorporate investor's preferences resulting in discrete non-linear search space which cannot be handled by traditional quadratic programming approaches. Relevant literature shows the success of evolutionary algorithms in modelling some of these preferences Multi-criteria algorithms for portfolio optimization under practical constraintsin a constrained optimization problem. This study proposes a candidate generation procedure and a repair mechanism for practical portfolio optimization model in multi-objective evolutionary algorithm (MOEA) settings. Both these methods together can handle a larger class of constraints namely cardinality, pre-assignment, budget, quantity (floor and ceiling) and round-lot constraints. Proposed methods can easily be incorporated into existing evolutionary algorithms. To evaluate their effectiveness, four MOEAs namely Non-dominated Sorting Genetic Algorithm-II (NSGA-II), Strength Pareto Evolutionary Algorithm 2 (SPEA2), Global Weighting Achievement Scalarizing Function Genetic Algorithm (GWASFGA) and Pareto Envelope-based Selection Algorithm-II (PESA-II) have been adapted and their capability of approximating unconstrained efficient frontier are discussed. For empirical testing, seven datasets involving maximum up to 1290 assets are used. All the adapted algorithms are compared and evaluated on the basis of five well-known performance metrics for MOEAs. The potential of our adapted algorithms is presented in comparison with existing MOEAs for the identical problems." @default.
- W2729437950 created "2017-07-14" @default.
- W2729437950 creator A5015815705 @default.
- W2729437950 creator A5071306756 @default.
- W2729437950 date "2017-12-01" @default.
- W2729437950 modified "2023-10-13" @default.
- W2729437950 title "Multi-criteria algorithms for portfolio optimization under practical constraints" @default.
- W2729437950 cites W1516131670 @default.
- W2729437950 cites W1609435388 @default.
- W2729437950 cites W1966253115 @default.
- W2729437950 cites W1971093393 @default.
- W2729437950 cites W1977139254 @default.
- W2729437950 cites W2003380963 @default.
- W2729437950 cites W2020320008 @default.
- W2729437950 cites W2032453361 @default.
- W2729437950 cites W2040533142 @default.
- W2729437950 cites W2040786712 @default.
- W2729437950 cites W2044701026 @default.
- W2729437950 cites W2049967755 @default.
- W2729437950 cites W2055025427 @default.
- W2729437950 cites W2059402937 @default.
- W2729437950 cites W2067544512 @default.
- W2729437950 cites W2068658313 @default.
- W2729437950 cites W2089591483 @default.
- W2729437950 cites W2098907614 @default.
- W2729437950 cites W2106334424 @default.
- W2729437950 cites W2107845038 @default.
- W2729437950 cites W2112610675 @default.
- W2729437950 cites W2126105956 @default.
- W2729437950 cites W2135863358 @default.
- W2729437950 cites W2143381319 @default.
- W2729437950 cites W2144015438 @default.
- W2729437950 cites W2151237529 @default.
- W2729437950 cites W2151856984 @default.
- W2729437950 cites W2158832694 @default.
- W2729437950 cites W2167580870 @default.
- W2729437950 cites W2342630703 @default.
- W2729437950 cites W2490548151 @default.
- W2729437950 cites W4232828148 @default.
- W2729437950 cites W901952859 @default.
- W2729437950 doi "https://doi.org/10.1016/j.swevo.2017.06.005" @default.
- W2729437950 hasPublicationYear "2017" @default.
- W2729437950 type Work @default.
- W2729437950 sameAs 2729437950 @default.
- W2729437950 citedByCount "34" @default.
- W2729437950 countsByYear W27294379502018 @default.
- W2729437950 countsByYear W27294379502019 @default.
- W2729437950 countsByYear W27294379502020 @default.
- W2729437950 countsByYear W27294379502021 @default.
- W2729437950 countsByYear W27294379502022 @default.
- W2729437950 countsByYear W27294379502023 @default.
- W2729437950 crossrefType "journal-article" @default.
- W2729437950 hasAuthorship W2729437950A5015815705 @default.
- W2729437950 hasAuthorship W2729437950A5071306756 @default.
- W2729437950 hasConcept C10138342 @default.
- W2729437950 hasConcept C11413529 @default.
- W2729437950 hasConcept C126255220 @default.
- W2729437950 hasConcept C162324750 @default.
- W2729437950 hasConcept C202655437 @default.
- W2729437950 hasConcept C2780821815 @default.
- W2729437950 hasConcept C33923547 @default.
- W2729437950 hasConcept C41008148 @default.
- W2729437950 hasConceptScore W2729437950C10138342 @default.
- W2729437950 hasConceptScore W2729437950C11413529 @default.
- W2729437950 hasConceptScore W2729437950C126255220 @default.
- W2729437950 hasConceptScore W2729437950C162324750 @default.
- W2729437950 hasConceptScore W2729437950C202655437 @default.
- W2729437950 hasConceptScore W2729437950C2780821815 @default.
- W2729437950 hasConceptScore W2729437950C33923547 @default.
- W2729437950 hasConceptScore W2729437950C41008148 @default.
- W2729437950 hasLocation W27294379501 @default.
- W2729437950 hasOpenAccess W2729437950 @default.
- W2729437950 hasPrimaryLocation W27294379501 @default.
- W2729437950 hasRelatedWork W1954718630 @default.
- W2729437950 hasRelatedWork W1971970286 @default.
- W2729437950 hasRelatedWork W2107471019 @default.
- W2729437950 hasRelatedWork W2124216144 @default.
- W2729437950 hasRelatedWork W2350212927 @default.
- W2729437950 hasRelatedWork W2353801609 @default.
- W2729437950 hasRelatedWork W2587327574 @default.
- W2729437950 hasRelatedWork W3124990440 @default.
- W2729437950 hasRelatedWork W1759564909 @default.
- W2729437950 hasRelatedWork W2081546953 @default.
- W2729437950 hasVolume "37" @default.
- W2729437950 isParatext "false" @default.
- W2729437950 isRetracted "false" @default.
- W2729437950 magId "2729437950" @default.
- W2729437950 workType "article" @default.